Hvilke faktorer har påvirket aktiekursudviklingen i emerging markets?

Peter Nordgaard Dall & Niels Kjær

Studenteropgave: Kandidatafhandlinger

Abstrakt

This paper will try to examine and determine which factors there have been the primary drivers for stock price development in emerging markets between 2000 and 2013.
In order to do this, it is determined that the definition of emerging markets will follow that of Morgan Stanley Capital International (MSCI), which is determined by multiple elements. Countries called emerging markets in general are called frontier and emerging markets by MSCI – this paper will solely focus on emerging markets.
The outside interest for these markets have increased throughout the 1990’s, as the expected returns were high due higher growth expectations. When this was combined with a low correlation to developed, it opened the possibility of achieving higher returns without as high increases in risk as the low correlation would decrease the contribution of risk from additional investments.
Analysis is made of how the returns are when adjusted for risk, and compared to expected returns. The results of these calculations showed that returns in emerging markets had in fact been higher than those in developed markets, as pictured by S&P 500, when adjusted for risk and in comparison the expected returns. Had this not been the case, the following analysis would instead have been focused on factors contributing to the risk, instead of factors and there correlation with returns.
The first part of the analysis is focused on macroeconomic factors and the corresponding returns by country. It is analyzed how a series of chosen factors correlate to stock price development, and although a large part do not showcase any apparent correlation, GDP per capita, currency development and the level of oil prices all seem to have clear correlations to the development of national equity indices.
This leads to the analysis of company specific factors, where gathering of data placed a few constraints on which factors could be analyzed. The first part focused on a percentile analysis, where the results were used to determine which to be analyzed first using single factor and later multi factor regression analysis. From this, r-squared values of eleven percent were achieved. It must emphasized that only a few of a very high number of possible factors were included, and this of course limits how high the r-squared value can go.
In the end, the most influential factors are seen as revenue growth and the spread between return on equity and the cost of equity capital. Furthermore, return on assets are seen as determining factors, but with an apparent lower impact on stock price development. By no surprise, these results are correlated with the findings in the analysis of macroeconomic factors.